TY - GEN
T1 - Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks
AU - Shushi, Tomer
N1 - Publisher Copyright:
© 2019 by SCITEPRESS - Science and Technology Publications, Lda. All rights reserved.
PY - 2019/1/1
Y1 - 2019/1/1
N2 - The Esscher premium principle provides an important framework for allocating a certain loaded premium for some claim (risk) in order to manage the risks of insurance companies. In this paper, we show how to model the celebrated Esscher premium principle for a system of elliptically distributed dependent risks, where each risk is greater or equal than its value-at-risk. Furthermore, we present calculations of the proposed multivariate risk measure, investigate its properties and formulas, and show how special elliptical models can be implemented in the theory.
AB - The Esscher premium principle provides an important framework for allocating a certain loaded premium for some claim (risk) in order to manage the risks of insurance companies. In this paper, we show how to model the celebrated Esscher premium principle for a system of elliptically distributed dependent risks, where each risk is greater or equal than its value-at-risk. Furthermore, we present calculations of the proposed multivariate risk measure, investigate its properties and formulas, and show how special elliptical models can be implemented in the theory.
KW - Esscher Premium
KW - Extreme Risks
KW - Multivariate Risk Measures
KW - Premium Principles
KW - Tail Value at Risk
KW - Value-at-Risk
UR - http://www.scopus.com/inward/record.url?scp=85173922261&partnerID=8YFLogxK
U2 - 10.5220/0007378101020110
DO - 10.5220/0007378101020110
M3 - Conference contribution
AN - SCOPUS:85064642069
T3 - International Conference on Operations Research and Enterprise Systems
SP - 102
EP - 110
BT - ICORES 2019 - Proceedings of the 8th International Conference on Operations Research and Enterprise Systems
A2 - Parlier, Greg H.
A2 - Liberatore, Federico
A2 - Demange, Marc
PB - Science and Technology Publications, Lda
T2 - 8th International Conference on Operations Research and Enterprise Systems , ICORES 2019
Y2 - 19 February 2019 through 21 February 2019
ER -